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Finance and Economics Discussion Series: Data for FEDS 2012-77 ♣

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

Jon Faust, Simon Gilchrist, Jonathan H. Wright, and Egon Zakrajsek

Figure 1: Distance-to-Default by Type of Firm

date median (nonfinancial) median (financial) IQR: 75% IQR: 25%
1986-01-01 7.52688966142279 2.87938864933435 8.65237646388992 2.5767159815523
1986-02-01 7.70112592196573 3.21077276677376 9.13803196203984 2.65742345804311
1986-03-01 7.97304905452013 3.07262392483399 9.02544103278837 2.71851305878803
1986-04-01 7.34466151747862 4.15387803753779 8.76792746761816 3.30004637153792
1986-05-01 7.11890005324721 3.81431776325871 8.80528665196752 3.31998245908093
1986-06-01 7.47491470887704 3.07194496383803 8.65792941080772 3.05774689566476
1986-07-01 7.0717448372826 2.7168734986605 8.28880274711973 2.62716502933169
1986-08-01 7.84775092337082 3.16974802093666 8.6779776388795 2.73282484662005
1986-09-01 7.09601141144908 2.33279173610395 7.85176784419304 2.44432612738471
1986-10-01 7.49116288189359 2.36098527219813 8.16242126019841 2.46229241793219
1986-11-01 7.41370931527004 2.17167706267804 8.16281168876341 2.31715694026589
1986-12-01 6.95198808288421 1.81252056206352 7.54041186717058 2.04622917684945
1987-01-01 7.84710287752641 1.64389431106809 8.34000355133498 2.2395307676753
1987-02-01 8.19958043365051 1.66383579551887 8.3411866248083 2.28630757041858
1987-03-01 8.29099441142785 1.5379982444875 8.0340923518411 2.10187729976151
1987-04-01 7.55014831215671 1.36876120361971 7.55014831215671 1.96962573782102
1987-05-01 7.48343219407432 1.4747055927526 7.37166117523489 2.02326762737822
1987-06-01 7.58119465183678 1.33969259908259 7.48614640140531 2.13316513127288
1987-07-01 7.81916078741075 1.27042423751748 7.62595977349756 2.03918097681409
1987-08-01 8.19345699146214 1.49698949237875 8.17300401407239 2.16448143073788
1987-09-01 7.33133918772193 1.33949219505023 7.45135420186543 1.93110960622063
1987-10-01 4.4164047493645 0.930924792570165 4.87040941036231 1.42460696274917
1987-11-01 3.5401424686796 0.716686132130156 4.4053210851369 1.27771745591266
1987-12-01 3.72293526846395 0.658094277399864 4.18606735850415 1.13393727890191
1988-01-01 3.95479624041231 0.756744476558476 4.42870064345044 1.43945892755233
1988-02-01 3.97938379723041 0.678414051896313 4.2113717146629 1.22088613330271
1988-03-01 3.91926943375815 0.708774011298884 4.19665773758569 0.925766565076109
1988-04-01 3.92186084340123 1.10508306557564 4.15892791595166 1.10508306557564
1988-05-01 3.69291705392993 1.41350773381793 4.41308799638151 1.37040592682619
1988-06-01 4.02409921885365 1.26383965112858 4.56311213391497 1.39776366299924
1988-07-01 3.98393961524756 1.6106183465764 4.37149458735019 1.44440368677555
1988-08-01 3.49821219217046 1.44324995406291 4.33300029255071 1.35336171310895
1988-09-01 3.64523300575309 1.72648112708877 4.47634451876838 1.38208712675745
1988-10-01 4.13806019633966 1.73604155298828 4.62234575532025 1.31354294292752
1988-11-01 6.68985580939904 1.97039065280223 6.94353953971829 2.16566000208942
1988-12-01 7.66534313240477 1.96217007242864 7.73936546053693 2.23858834958328
1989-01-01 5.53204664780441 1.90842932272119 7.00543820992707 1.54748609352177
1989-02-01 5.95170393709913 1.63872251906072 7.06483220883962 1.55602613258406
1989-03-01 5.93841856275871 2.05269062617818 6.98353344122663 1.49194964587365
1989-04-01 6.78347592571185 2.08298107847025 7.58693857189045 1.81351352064039
1989-05-01 7.00427882679972 2.17076979175802 8.12911005770952 1.9289922674354
1989-06-01 6.69810210860858 2.10135328191032 8.01000890819314 1.84193109907704
1989-07-01 5.43814551425701 2.57220782275197 8.98420277029201 2.00481444162762
1989-08-01 8.06677698861511 2.41679690739239 9.09187535177805 2.02694684916482
1989-09-01 8.47039284598989 2.54726752922058 9.18773503455396 2.09284838014578
1989-10-01 7.20027704507821 1.82257207752231 7.77819839232502 1.80055727075603
1989-11-01 7.41381743559038 1.80399751062936 7.80878234759466 1.7740413304166
1989-12-01 7.80860226944688 1.78102843119377 8.53012066379903 1.73581248622465
1990-01-01 6.95337878558934 1.77472454446652 8.12192346990243 2.02790066917927
1990-02-01 7.24950323847876 1.64931153254639 8.18684790537685 1.95624407199409
1990-03-01 7.8285582734178 1.6431811825561 8.45500850877139 1.92047046302453
1990-04-01 7.36384286747633 0.769124936922472 8.02159085773578 1.61481984262665
1990-05-01 7.50220194487711 0.909083152020729 7.76480994295954 1.85747786708893
1990-06-01 7.00357212688691 0.757398905162746 7.40063542990786 1.70825364773256
1990-07-01 4.64856245649265 0.245843489277237 7.33094999578359 1.35417244422262
1990-08-01 4.7694047674672 -0.0264601355435194 6.12565401957188 0.961787252946901
1990-09-01 3.48897669923879 -0.235930346861176 5.82458781999467 0.75045032008479
1990-10-01 3.52871880625847 0.432393729912784 5.98064746007775 0.878096105460224
1990-11-01 3.87721506989827 0.534158380953402 6.25689189076896 1.110481752653
1990-12-01 3.40016880603767 -0.226021783396861 5.78904912498138 1.30365824287555
1991-01-01 3.68232586821645 0.596908901933272 5.35966436327824 1.48966232754271
1991-02-01 4.19642159091757 0.826387177488452 6.06129867358545 2.08531139521283
1991-03-01 4.2838304980856 0.774433167728047 6.18506775428216 1.9557600668188
1991-04-01 4.3433121722057 0.976501843354595 6.1644773792877 1.91561520472944
1991-05-01 4.64411554457879 0.994449430971634 6.42809497460211 2.3214271891257
1991-06-01 4.06025087455401 0.719330735013034 5.76650430472311 1.99284125807289
1991-07-01 4.09762164719645 0.46538316550065 6.05129646462674 2.19801046593485
1991-08-01 4.17257511288538 1.86955093460827 6.21740817211073 2.39550914674691
1991-09-01 4.22285987555095 2.37331095694833 6.51692462469422 2.42647520730209
1991-10-01 4.56241786276506 1.63499012857618 6.8319754911798 2.64315796490413
1991-11-01 4.57054213729052 1.87782753793205 6.72446756890915 2.62258310841297
1991-12-01 5.35355202218708 1.22509467428026 6.95805100019573 2.70085816491473
1992-01-01 5.60664402297706 1.78735728498881 7.25790685357676 2.97095524653417
1992-02-01 5.37742534199373 1.804153692854 7.26553451394842 3.06961062454268
1992-03-01 4.63296301165355 1.81864393363624 6.84139643740645 2.79177433879731
1992-04-01 5.19090204593912 1.61038085567979 7.09067541987675 3.46624787071743
1992-05-01 5.38507644045537 1.58488909783209 7.04552314640486 3.23119825361888
1992-06-01 4.69829535238343 1.96323291038279 6.76465517391015 2.7183297707761
1992-07-01 4.76376810817485 1.95196418526903 7.30150431098605 2.86084410558736
1992-08-01 4.71433315165827 1.81593545679297 6.77859099640838 2.55967124614728
1992-09-01 4.75983360289781 1.88941921332455 6.63636484410155 2.61658056465945
1992-10-01 4.85253577535057 1.64726155066263 6.66122094258329 2.52692116211398
1992-11-01 5.32126275544822 1.75643002296861 6.93721650497354 2.5887539168151
1992-12-01 5.58133742994842 1.82642116289463 7.46893652012141 2.84242349639812
1993-01-01 4.90689310146529 2.09731179884076 7.68826285129614 3.0298760669897
1993-02-01 4.82819142601807 2.21876557196606 7.82258804513437 2.99695302089482
1993-03-01 5.31317633824794 1.85692319900804 7.74806560938949 3.03068241308449
1993-04-01 4.97819284805855 1.83947211725181 7.48896096126933 2.73908542155851
1993-05-01 4.82448054641826 1.80182239132081 7.57994606796582 2.95798331863706
1993-06-01 5.02740431711185 1.84287604010521 7.60898136388137 2.87105319672957
1993-07-01 5.00350725223107 1.85059049339883 7.82266661618854 3.20399542564058
1993-08-01 5.12978883225659 2.06223258332865 7.73524536167991 2.90629179525725
1993-09-01 5.16889161762302 2.15494401236645 7.99776379719687 2.74513968468078
1993-10-01 5.48426527049481 1.98872514046467 7.97342418790059 2.51403326157551
1993-11-01 5.25284867660122 1.84151409182948 7.62664992980779 2.44961259933864
1993-12-01 5.00949221404152 2.22471502725273 7.29045694636764 2.53804465214475
1994-01-01 5.77323883690505 2.62162459094787 7.60203473749243 3.01586453776844
1994-02-01 5.51725379126683 2.34156331840953 7.15560578213846 2.83006545087209
1994-03-01 4.71665116319154 2.26355358604385 6.47500313559948 2.29581651017309
1994-04-01 4.7399793418638 1.96795065253779 6.53446316246835 2.575973702921
1994-05-01 4.95278225276934 2.02043236234942 6.55430222187026 2.58618313084701
1994-06-01 3.90983982688689 1.63243302803272 6.16883321470712 2.75785121358254
1994-07-01 4.25303931022639 1.42760169725772 6.46126961643753 2.56960797284514
1994-08-01 4.21505502974518 1.40734849136777 6.6689632067235 2.6083803698732
1994-09-01 3.98353532188326 1.17336780173453 6.23966968103387 2.53121599837209
1994-10-01 3.83313086869594 1.15089611948052 6.36899251047243 2.50748432273614
1994-11-01 3.82809367424941 0.959238519890013 6.14910869680788 2.33556947273308
1994-12-01 4.0301153678338 0.770418649002165 6.20162864342428 2.39051010627412
1995-01-01 4.02494161320876 0.627581704431953 6.83535146868423 1.81384621101879
1995-02-01 4.4116985760383 0.838006848197645 6.7215500140474 1.89775499471181
1995-03-01 4.90138579842031 1.23646421110657 6.90855639268862 2.10745241825567
1995-04-01 5.12611859248424 0.978824984846573 7.53701949245639 2.32797501964041
1995-05-01 5.3451614989875 1.86897372846651 7.80257093158736 2.59516484687014
1995-06-01 5.68063762377669 1.66362103831337 7.61311229879151 2.82832243511953
1995-07-01 5.9516795062828 2.08047381200899 7.96300767885686 2.64023655105521
1995-08-01 5.54309121251943 2.20151183007918 7.83784872921569 2.64077985345534
1995-09-01 5.51523955505716 2.21623846217549 8.14615463311601 2.79594196269517
1995-10-01 5.06220123703466 2.10346209937204 7.7797895915192 2.96906099183349
1995-11-01 5.42632175826561 2.19691246985635 8.23414305801281 3.05459040334602
1995-12-01 5.60487653332647 2.26204085203712 8.48367504973291 3.31623725771368
1996-01-01 6.83403094393666 2.52462167114303 9.21342604942112 3.54176940345789
1996-02-01 6.96376134197675 2.07896647054772 9.19359239338294 3.52398378167937
1996-03-01 6.86830966569299 2.07032247108242 8.7661780996605 3.32333368577456
1996-04-01 6.53813858977338 2.01861380896466 8.4093857309298 3.15889343092386
1996-05-01 6.73260567280022 2.09926147153699 8.64903734485329 3.05301948777664
1996-06-01 6.63747426354525 1.78027571281779 8.53682328723457 3.13409938687061
1996-07-01 5.8357248057632 2.13056360832398 7.89002869022691 2.83012289680828
1996-08-01 5.77854459023837 2.28450525428783 8.02073293200015 2.81445067658628
1996-09-01 6.15696531766774 2.29394216514687 7.63571128120324 3.14683708261937
1996-10-01 6.12702623799622 2.31980951401865 7.75378523298594 3.27846804497285
1996-11-01 6.52883484040053 2.66392198823388 8.34491470740548 3.37877382864447
1996-12-01 6.05801367619701 2.73285918101641 7.71739536585155 3.16748557537901
1997-01-01 6.16509000074651 2.90521339726584 8.00946135335609 3.65788500409531
1997-02-01 6.24905321906981 2.66675227157068 7.99354255860969 3.47645918024468
1997-03-01 5.68800413170266 2.31642077503173 7.5175969273935 3.18265936284005
1997-04-01 5.74350089603079 2.42683521657361 7.51800931097764 3.81930669357077
1997-05-01 6.36686958365264 2.61915635411134 7.9467184914711 4.1550260666021
1997-06-01 5.99159088465975 2.9190150086739 7.6199766608866 3.48556761495971
1997-07-01 6.56560857732377 2.99428195070871 7.87729277405622 3.48246755617229
1997-08-01 6.5072231428547 2.84807509537032 7.71516045381153 3.86044242007228
1997-09-01 6.0275184825782 3.26318589550365 7.52867055644117 3.42325947205164
1997-10-01 5.57060916520873 2.84135989244797 7.18237315314423 3.82133835887716
1997-11-01 5.82313727890212 2.89663416090127 7.57531733549551 4.01710299377628
1997-12-01 6.28254808417147 2.94920356387692 7.29842463791018 3.54768107593495
1998-01-01 6.3024014380471 2.96871942159037 7.4198832587487 3.75860610952991
1998-02-01 6.49529822927336 3.31383642108707 7.73374042105765 3.70955395675834
1998-03-01 7.04579661467744 2.9257555652558 7.12553844443402 3.39539103545577
1998-04-01 6.73623689075916 3.5493557966614 7.42743861136781 3.12173670482268
1998-05-01 6.53577841994812 3.50982659440824 7.36244602019932 3.17221017918622
1998-06-01 6.09856662226913 3.41552288997105 7.09010581923049 3.19790481178209
1998-07-01 5.30305276284636 3.04797075841872 6.3645535690585 3.00949830972185
1998-08-01 4.30616664306989 2.16396614836984 5.09483335647639 1.79294904879096
1998-09-01 4.47791461818621 1.44650944123244 5.10661681979607 1.81817734454349
1998-10-01 4.41375348007551 1.6596168305614 5.39249028544612 2.26913577622427
1998-11-01 4.60995886303388 1.36046576534754 5.59909706651434 2.34585094861767
1998-12-01 4.50745262142626 1.09399602561463 4.9616205726908 1.66332027710767
1999-01-01 4.43342004371004 1.44305472900362 4.7451516539551 1.78610470576377
1999-02-01 4.21089528206148 1.43260496382996 4.65953138715246 1.65543362589912
1999-03-01 4.05439355199902 1.31602118831484 4.45167936701345 1.61516362730598
1999-04-01 4.40579645205406 1.21354724730387 4.61940790837795 1.87060628704285
1999-05-01 4.21031632652876 0.963185612402739 4.51502511456942 1.89085871763163
1999-06-01 4.38509691883284 1.03809892709126 4.7391850519582 1.86895418892505
1999-07-01 4.25349101140054 1.44819342393703 4.37260315769633 1.97543928628865
1999-08-01 4.19016742576875 0.718018190935685 4.37500185180507 1.54395424099999
1999-09-01 4.22867685747759 1.55987155569176 4.45988542212935 1.67788664212123
1999-10-01 4.12140603840714 2.03010913879065 4.53940738619831 1.91033440372122
1999-11-01 3.76013090379852 2.06351545144076 4.38023904658457 1.54265227614178
1999-12-01 3.82199904346476 2.03127924107093 4.22492366125412 1.48011443952295
2000-01-01 3.42333574976748 1.85305051743272 4.48374583041249 1.4859988928104
2000-02-01 3.28719867825383 1.89099325179519 4.21853336518347 1.28628114994905
2000-03-01 3.56574717802786 2.12705169546912 4.35156037259834 1.48728174849468
2000-04-01 3.27810720982525 1.92960317817858 4.04976473983249 1.58537317420093
2000-05-01 2.9973608161887 1.876549463235 3.99087690849332 1.57624975774202
2000-06-01 2.86099280671446 1.94605146679697 3.72926864744945 1.51594962310983
2000-07-01 2.80430199991831 2.02288279295025 3.7813298569679 1.4030870735441
2000-08-01 2.98059578657659 2.41966367479083 4.09788937398297 1.54014880570238
2000-09-01 3.05600639833589 2.93824424829362 4.17478828513595 2.17525170887152
2000-10-01 2.96106784550186 2.67630780954459 3.92370859253549 2.32228131348393
2000-11-01 2.92536599709069 2.14409379437648 3.92250870381885 1.81203208823069
2000-12-01 3.36781202066947 2.55026129582199 4.14037407815159 2.15119103150206
2001-01-01 3.27674224697112 2.46095592660872 3.74536691535796 2.11698810258141
2001-02-01 3.41039788855837 1.99321565224978 3.97537406419052 1.99321565224978
2001-03-01 3.54023113339201 1.69673130254992 4.39565891915574 2.02871377635153
2001-04-01 3.57349802391136 1.70875308907445 4.24658167586928 2.15606156987444
2001-05-01 3.72579514751048 1.86745996994502 4.3972617177627 2.02470247461563
2001-06-01 3.68026187128 1.69361828722514 4.32749255519191 2.24424964304839
2001-07-01 3.67860442996831 1.57145428062491 4.63507360941074 2.58357147660539
2001-08-01 3.698308543592 1.39038970837394 4.35613228812103 2.12810456051653
2001-09-01 2.86575458838668 2.11208793921995 4.14118956047071 1.47416750324492
2001-10-01 3.00914477768814 2.08516713405299 3.86537929850905 1.49793458194803
2001-11-01 3.48998280819784 2.62987862414902 4.20937022288856 2.09863614893527
2001-12-01 3.66709874378046 2.82075189852729 4.2771781550677 2.49909444587486
2002-01-01 3.75438539622487 2.9746319335191 4.35361532917376 2.31712980609494
2002-02-01 4.04112281119674 2.0830519198822 4.8093348827595 1.80113653698989
2002-03-01 4.15036347988855 2.5496937202637 5.10821465037583 2.40069173721316
2002-04-01 4.78272326076017 2.47449350480895 5.28353351050666 2.33196066209812
2002-05-01 4.46475596479386 2.56452145660286 5.41945229603243 2.05090013729056
2002-06-01 3.85462774758948 2.56727346515388 4.96860484807701 2.28609444416437
2002-07-01 3.07424349010269 1.8264291213385 4.17503954653468 1.69588033823261
2002-08-01 2.83749111408774 1.72440605662492 4.21892717817351 1.58874197075865
2002-09-01 2.41537235434656 1.44637953706239 3.87960577060542 1.04052884637503
2002-10-01 2.91565999766505 2.49141788026923 3.75047566226398 1.50946061560039
2002-11-01 3.13578978711557 2.43018878558131 4.4566367065584 1.54664222554008
2002-12-01 3.15354374532448 2.0568370579279 4.01497800274256 1.0862708586267
2003-01-01 2.80855320263651 1.8729874717281 3.86281820675134 1.28891572588567
2003-02-01 2.68371958020798 1.79933821405147 3.75755466037992 1.1628870318782
2003-03-01 2.49299635990999 2.00908870448287 3.46343862684004 1.06986064938379
2003-04-01 2.86267026787901 2.34025085757364 3.64800555343785 1.61086115088295
2003-05-01 3.17481485196981 2.79086389089338 3.87913569685618 1.6547930868928
2003-06-01 3.32287563580051 3.10677253741876 4.31502831839125 1.15665905982223
2003-07-01 3.70121479274624 3.53778148058281 4.35731820299386 1.6894221103942
2003-08-01 4.24683142156092 3.66566370980073 5.06371175679564 1.96700665731602
2003-09-01 4.31162882444604 3.60570977308486 5.50974768094949 2.56933632806094
2003-10-01 5.33772026811091 3.98572476523485 6.03234031750497 2.97018143185804
2003-11-01 5.42319647103581 4.004683247526 6.6061200220537 3.4769675924704
2003-12-01 5.8700700507852 4.12381985030139 6.7554135761996 3.10767307762992
2004-01-01 6.57331103133277 4.4138411374883 7.10413194135889 3.26564602408164
2004-02-01 7.31456230782765 4.86150689531601 7.67814775477521 3.51218804712227
2004-03-01 7.55480192264792 4.30376619875499 7.88716993695017 3.12076163367057
2004-04-01 7.78032767045279 3.98210647798616 8.33135530221904 3.38709346496133
2004-05-01 7.51009336606744 3.91812458122219 8.58937532052162 3.0816186347867
2004-06-01 7.87083756270106 3.85853495265487 8.4439176571291 3.00950195154853
2004-07-01 7.21401957821807 3.5251136997261 8.43791591692793 2.98266523519253
2004-08-01 7.2635874824118 3.35252946275197 8.59758334119862 3.14046484326917
2004-09-01 7.1383212983519 3.56007157878591 8.03879432613316 2.45619092700975
2004-10-01 7.13727148675273 3.87135324701557 8.13188027055911 2.41650539023473
2004-11-01 7.60070689758403 3.17308165243554 8.28540180042992 2.5677698295355
2004-12-01 7.46779657737209 3.31850113735578 8.27525704842049 2.61992459926891
2005-01-01 6.98375699564641 3.3056525416131 8.17928624106824 2.73525684205061
2005-02-01 7.33647898451902 2.56469954988379 8.13653557299081 2.51088571956097
2005-03-01 6.94811165297402 2.33739343671881 7.83592755741343 2.26453362557193
2005-04-01 7.02916700253022 2.31933555038039 7.65661903703694 2.12772696596041
2005-05-01 7.16981903738283 2.35464258824385 8.18039480642446 2.24100820739087
2005-06-01 7.18066177453637 2.9935509073168 8.02911934021528 2.40464487980094
2005-07-01 7.68490938321079 3.09203228097658 8.23360705758281 2.52673056520634
2005-08-01 7.71809748431566 2.50731917238616 8.52314540922131 2.50731917238616
2005-09-01 7.51873404474529 2.48247384695736 8.05373475267767 2.32240474772462
2005-10-01 6.86049280138039 2.44620858755983 7.47086051806645 2.30512480064902
2005-11-01 6.84548628465764 2.54251475258484 7.71653986054429 2.39591568045634
2005-12-01 6.89578137350168 2.52556809813321 7.5562120670249 2.28026318643097
2006-01-01 7.27739792192148 2.62330329496489 7.62378211663547 2.46438863991833
2006-02-01 6.94092603187475 2.68655379566437 7.80219023607512 2.57179528135091
2006-03-01 7.15353939047916 2.93776813622734 7.46117965222457 2.65486876533526
2006-04-01 7.41888327332918 2.96926739355568 8.04113798117023 2.87708401643088
2006-05-01 7.36088364942642 2.84123576061747 7.6175378164813 2.81434786580877
2006-06-01 7.15164154744023 2.97786180904614 7.37491791770903 2.74125057108275
2006-07-01 7.22923127381756 3.05979413807466 7.84642485744655 2.84996034665887
2006-08-01 6.85643419318617 2.72733716792045 8.13717880721677 2.70772465444199
2006-09-01 6.75579690927755 3.27865671902108 7.13558634676883 2.73117668282777
2006-10-01 6.71596763148297 3.57306172996252 7.45717378296766 2.87878334964173
2006-11-01 7.58358891765211 3.54106411771361 7.87364950267184 2.80811917079382
2006-12-01 7.56168202943731 3.46167080024045 7.96020683211383 2.66957728822708
2007-01-01 8.54767464184191 3.01295350296913 7.69451962781369 2.86689770160725
2007-02-01 8.07148282527957 2.72491942675432 7.93084616269118 2.63489219593693
2007-03-01 8.48919885807683 2.7103967444406 8.05387623664443 2.46609190408584
2007-04-01 8.60065410395068 2.5601697594619 6.81592128332724 2.11952407407304
2007-05-01 8.6833843782852 2.58370504908251 7.31887843858321 2.31043990564041
2007-06-01 8.78337807831127 2.53782638112553 7.31155071994253 2.12665705338231
2007-07-01 8.5923495245716 2.25340438273002 7.06126543304813 1.47670012920025
2007-08-01 8.09770533339155 2.17069656398608 6.72472332352312 1.40388943218999
2007-09-01 8.26930233167328 2.45006509069262 6.63998261551532 1.81456657478274
2007-10-01 8.35547525923891 2.13868192976401 6.26101308595335 1.8439126970661
2007-11-01 7.62246719479991 1.67169205308124 6.53096979818386 1.55118069311571
2007-12-01 7.25892223821273 1.43866520115575 6.26636377719462 1.43866520115575
2008-01-01 6.45657291032764 1.00641726708456 5.70984141440475 1.00641726708456
2008-02-01 6.0665931844839 0.767725625114081 6.37871235155978 0.767725625114081
2008-03-01 6.09271815454448 0.627706164154848 6.43123365175622 0.553767419730691
2008-04-01 6.48187562155201 0.790143730277127 5.41626506026485 0.790143730277127
2008-05-01 6.57082667182722 0.359796219963774 5.81072134989022 0.828368650492318
2008-06-01 5.81400127331088 -0.547043447558059 5.54772162032621 -0.0840835977083577
2008-07-01 5.40838735419385 -0.153997372194811 5.40838735419385 0.0422272068389126
2008-08-01 5.62784567338625 0.0125692456832152 5.36534741530171 0.0958966471475591
2008-09-01 4.10098900437513 -0.268318209300293 4.96505709317201 -0.0197635688110888
2008-10-01 2.58054609425683 -0.784775913454916 3.35659231346758 -0.437986903905044
2008-11-01 2.29063041213698 -0.973506146997424 3.52585110595962 0.145257549022826
2008-12-01 2.31195483272586 -1.21529705671163 3.56809279166197 0.535113498650462
2009-01-01 2.06333679548318 -1.19823095787398 3.17299616574164 0.342989964776428
2009-02-01 1.97292198177276 -1.07156420647122 2.86651697051554 0.0806690610573189
2009-03-01 2.0077727492787 -1.20694964948796 3.29902309574709 0.153274423739205
2009-04-01 2.36076620464175 -1.18236311197696 2.94722294128391 -0.00634199758103401
2009-05-01 2.29940109566699 -1.03467452789128 2.75319120102159 -0.420035229441002
2009-06-01 2.41469896917052 -0.666738570816444 2.96089041039074 0.137156674474986
2009-07-01 2.90095716866522 -0.585634572474665 3.37819362272965 0.268456839883468
2009-08-01 3.16842654203695 -0.630035014362473 3.008052508312 0.00894048719887954
2009-09-01 3.14740086037384 -0.144660449642485 3.00988806485233 -0.122396213868285
2009-10-01 3.52963066907041 0.1125655693513 3.22187357039048 0.1125655693513
2009-11-01 4.71438309219508 0.349275118174742 4.30451749006137 0.349275118174742
2009-12-01 6.03399356241863 1.33064787794218 6.03399356241863 1.38481786274351
2010-01-01 5.61079914664241 1.04675681439229 5.84720774379007 1.11979550995124
2010-02-01 6.26345746441439 0.999821904101858 6.29426265693679 1.68143905681013
2010-03-01 7.36623226786886 1.73431302578154 7.33730148038275 2.3463425869942
2010-04-01 8.10003683038295 1.96842860015729 7.84445549428076 1.96842860015729
2010-05-01 7.22970493148847 1.86766339249817 7.21957844402441 1.86766339249817
2010-06-01 7.55307182433676 1.56161864430995 7.34090481601128 1.56161864430995
2010-07-01 8.35986097088999 1.85614153720647 7.84893571512923 1.85614153720647
2010-08-01 8.06559955977998 1.66096940859305 7.67753208598368 1.71481259343303
2010-09-01 8.31068750388518 1.6740990065604 8.27221158744871 1.72062308089456
2010-10-01 8.46934308424074 1.90054575198037 8.56898938746973 1.90054575198037
2010-11-01 8.19842335247049 1.87510675579385 7.96167800182575 1.87510675579385
2010-12-01 8.89695017688341 1.53453628629744 8.448367896688 2.18867165620676
2011-01-01 8.88870321618302 1.95532602518747 8.43257761071486 1.95532602518747
2011-02-01 9.47573697576949 1.75893219921929 8.92474836759889 1.75893219921929
2011-03-01 9.45447075083526 1.66208114021148 9.45447075083526 2.90358547747894
2011-04-01 9.80997695914824 1.72298251957123 9.57918219011909 3.08337191124148
2011-05-01 9.74863483795854 1.1962098081135 9.59668994849319 3.06074250138393
2011-06-01 10.6062957659081 1.55231132472147 10.5388325128029 3.11281251960462
2011-07-01 10.8308916187685 2.51877203624859 9.87947214242545 2.51877203624859
2011-08-01 8.97804898572804 1.09653723976588 8.59099136507648 2.17763358296833
2011-09-01 7.87277776015507 0.5392227499764 8.451599944144 1.59621586411331
Return to Figure 1

Figure 2: Callable Corporate Bonds

date proportion (nonfinancial) proportion (financial)
1986-01-01 95.59898316894 80.1358506151433
1986-02-01 95.669616641845 80.2790247707462
1986-03-01 95.7185679837051 80.2790247707462
1986-04-01 95.6831080658686 80.0189951400516
1986-05-01 95.5024251918793 80.2790247707462
1986-06-01 95.6688140158642 79.8792035033295
1986-07-01 95.528119827796 79.7289784488935
1986-08-01 95.4142126997287 79.7289784488935
1986-09-01 95.3102972725433 79.564923048784
1986-10-01 95.3608777850506 79.1429271187792
1986-11-01 95.2749557305638 78.7635865737086
1986-12-01 94.7205687232514 78.7635865737086
1987-01-01 94.5797461659049 78.7635865737086
1987-02-01 94.6025976130042 78.7635865737086
1987-03-01 94.1952644951411 78.5379544588143
1987-04-01 93.9834505431731 78.5156345556235
1987-05-01 93.8751507424184 79.084752929843
1987-06-01 93.7563091390216 79.4913479319383
1987-07-01 93.5832182431711 79.7804743233097
1987-08-01 93.9417719078556 79.7804743233097
1987-09-01 93.7564399885731 79.7804743233097
1987-10-01 94.3267167094343 78.2417077549547
1987-11-01 94.2817793221269 78.2226455888204
1987-12-01 94.2364746874606 77.8301659006001
1988-01-01 93.7841921435848 77.3922290417015
1988-02-01 93.7460756012603 77.3922290417015
1988-03-01 93.6649262670341 77.3904024930966
1988-04-01 93.5070413956955 77.0011933080679
1988-05-01 93.3278377191254 77.0011933080679
1988-06-01 93.4683739124285 76.4122745388204
1988-07-01 93.0003400383054 76.4122745388204
1988-08-01 93.155720602167 75.1422521857463
1988-09-01 93.4195333735884 75.1422521857463
1988-10-01 93.3261274091056 73.9587210654047
1988-11-01 92.955115819373 77.473148705099
1988-12-01 92.9388984454898 76.7774784041251
1989-01-01 93.3393530672141 77.2420521163072
1989-02-01 93.0964847913329 78.4949515528144
1989-03-01 92.0209311365265 76.6609091016234
1989-04-01 92.0167195526138 75.268271089445
1989-05-01 91.3321395220624 74.1190154988216
1989-06-01 91.364976445637 74.1190154988216
1989-07-01 90.9742943585424 74.1190154988216
1989-08-01 90.4418257716854 74.1190154988216
1989-09-01 90.2835375112173 73.1440419629524
1989-10-01 89.9033775607356 73.1440419629524
1989-11-01 90.2767446455047 66.5056216547815
1989-12-01 87.1127836172824 64.8361485471463
1990-01-01 87.0632656919672 64.8361485471463
1990-02-01 86.9925482284777 64.8361485471463
1990-03-01 84.4679138766299 63.0823358136525
1990-04-01 83.5459481957053 58.1836627338994
1990-05-01 83.9155457561059 58.7242595471956
1990-06-01 80.3133747143446 58.7576838430599
1990-07-01 79.0985780087361 58.9009382234678
1990-08-01 78.7881218128912 57.9286545817395
1990-09-01 77.1239477318357 57.9286545817395
1990-10-01 75.4519972122958 52.1341822898243
1990-11-01 74.7462722261058 59.1208045147876
1990-12-01 72.6747910647073 53.6687503793166
1991-01-01 72.9622848124281 56.6995544239338
1991-02-01 71.0989490031212 55.3126857293799
1991-03-01 69.0561485398697 45.2316664866616
1991-04-01 62.0642695557707 40.9825758936591
1991-05-01 58.1718283137942 37.9029517887095
1991-06-01 54.564034208569 35.780218213662
1991-07-01 52.9920564945528 33.7200654469731
1991-08-01 49.1695656675904 34.3799073444448
1991-09-01 47.4860410833867 31.2911220869069
1991-10-01 45.2836679006161 28.131293978848
1991-11-01 45.1209282986874 25.8714496864139
1991-12-01 42.79787489696 23.9928870447894
1992-01-01 41.7320898474945 21.593038375621
1992-02-01 40.6887204852724 20.6246488415904
1992-03-01 40.5966731750605 18.0006508683175
1992-04-01 38.1520435968261 17.6354308570766
1992-05-01 37.9692331872087 18.5735259346424
1992-06-01 34.818459633682 17.3344076033686
1992-07-01 35.3527201592989 16.0571588840137
1992-08-01 35.5864235811645 14.676290970039
1992-09-01 35.4396563410327 15.7566389729718
1992-10-01 32.7121100948399 15.8610711489829
1992-11-01 32.4481604747807 15.6052278198733
1992-12-01 31.9324092474026 15.6732346449039
1993-01-01 31.3669904347926 15.0266571920056
1993-02-01 31.0252388577377 12.8516523810468
1993-03-01 31.2970495228362 12.5555604453637
1993-04-01 30.0428535968305 12.1055937497311
1993-05-01 29.3853870351921 10.3722117305207
1993-06-01 28.1536656287866 10.7927398649565
1993-07-01 28.1500048643777 10.3644741307212
1993-08-01 27.8090364996619 10.0735213879427
1993-09-01 27.2835760252428 8.32901582761112
1993-10-01 27.0165556867574 9.55120586717599
1993-11-01 26.0356954939428 9.39415443194371
1993-12-01 25.3840046211606 9.64595882985262
1994-01-01 25.8642065000321 10.3735554958345
1994-02-01 26.0341180185767 11.2712837963034
1994-03-01 25.8149250440867 10.46447232188
1994-04-01 25.9484484665551 10.2733264423294
1994-05-01 27.0135936235447 10.3891102756919
1994-06-01 26.2746080757155 10.7769061844849
1994-07-01 27.0152186188401 11.6787410686028
1994-08-01 27.4091483655002 10.6451926994371
1994-09-01 27.5714443846947 10.1323372018059
1994-10-01 27.7159427822913 10.2880539937155
1994-11-01 27.686431751407 10.2880539937155
1994-12-01 27.7895486422112 10.3253730206928
1995-01-01 28.0781300462033 10.8583733758058
1995-02-01 27.5372123159961 10.8540724754815
1995-03-01 27.7127199295318 11.3498584307527
1995-04-01 27.5160125864285 12.9260518675004
1995-05-01 27.5517896418718 12.4980235903649
1995-06-01 26.4384843767548 12.6590102768065
1995-07-01 26.772806153342 12.5526895298221
1995-08-01 26.5843356465109 12.3339973719651
1995-09-01 26.496777554272 12.036015848256
1995-10-01 26.3145565689817 12.3050000717194
1995-11-01 26.3330278725256 13.2318927290808
1995-12-01 26.988276273754 13.3295316422892
1996-01-01 27.5002750461226 12.4081256136256
1996-02-01 27.2098019456242 11.2528827458937
1996-03-01 27.1297213672165 12.5911323392766
1996-04-01 26.915075390648 12.6020932111592
1996-05-01 26.7712810058474 12.3643133184841
1996-06-01 26.6418780453768 12.5139472137055
1996-07-01 26.8531750406694 12.5573672850069
1996-08-01 26.7878703692191 13.5278803365516
1996-09-01 26.7377940430661 13.4581984448081
1996-10-01 27.0343475228504 13.0547302255371
1996-11-01 27.3074324137018 12.3819261282284
1996-12-01 27.5181080275157 13.0143292400346
1997-01-01 28.3505221393311 13.4313979603811
1997-02-01 28.9869725939075 13.0559938058395
1997-03-01 29.289173264777 14.1154586806538
1997-04-01 28.9432824611773 15.4917535443285
1997-05-01 29.1856268299547 15.1289857760747
1997-06-01 29.9237494403322 15.7805587949391
1997-07-01 29.9033607296824 15.6908285700667
1997-08-01 30.6614416512475 17.2970027502573
1997-09-01 31.1530586823666 17.2154814925204
1997-10-01 31.6427189247729 17.3659905586862
1997-11-01 31.6457472120911 17.4484897828673
1997-12-01 33.2598809547085 17.544853627331
1998-01-01 34.8428227927192 17.1719842622338
1998-02-01 34.9450101290884 17.1323034151094
1998-03-01 36.0714905298645 17.3219702350735
1998-04-01 33.7276430662631 17.7220821592763
1998-05-01 34.1819619689049 17.3392552503088
1998-06-01 34.8076586954795 16.9650051801543
1998-07-01 36.0446992811464 17.6543576187522
1998-08-01 38.0252994920181 17.5596276124809
1998-09-01 38.3585445936529 17.6543576187522
1998-10-01 39.2497018643808 17.968363172022
1998-11-01 39.4648492676991 17.8387348201041
1998-12-01 40.6077524725221 18.2302434752998
1999-01-01 40.287531692432 17.9225118541631
1999-02-01 42.0644050638393 19.8523877226729
1999-03-01 44.1466530470426 19.5399776571976
1999-04-01 44.8395267480825 19.8629863385795
1999-05-01 46.5140638806978 19.8332768282711
1999-06-01 47.145642497149 21.0914766924248
1999-07-01 49.8832828768839 18.9241724763097
1999-08-01 50.1689481011758 18.5449749986263
1999-09-01 50.6795958238756 18.2114142849434
1999-10-01 51.750426395342 18.6147488098767
1999-11-01 52.007687128134 19.398271558823
1999-12-01 52.6819062955973 19.2456044485873
2000-01-01 53.4615960990905 18.9711986312221
2000-02-01 54.5199072746931 19.3936725771193
2000-03-01 55.118941604874 19.7489328906806
2000-04-01 55.2396358048717 19.3143950148687
2000-05-01 56.155966514662 20.2063754220319
2000-06-01 56.6074737224887 19.9782055938976
2000-07-01 56.710231540165 20.5841672768693
2000-08-01 57.1729792884594 19.6900343300662
2000-09-01 57.7489331065641 19.4650998366531
2000-10-01 58.5192642233445 19.8781510532288
2000-11-01 59.0048849101609 20.1567802686296
2000-12-01 59.0335378384076 19.6686515448778
2001-01-01 59.0485603939011 20.9753219328392
2001-02-01 59.6070892647771 20.2568444877206
2001-03-01 59.8148346452691 20.1748577279565
2001-04-01 61.0946726635984 23.169254905363
2001-05-01 61.2157062513065 23.2427718205257
2001-06-01 62.042685250099 23.3191557852273
2001-07-01 62.9049218140497 25.7798758760218
2001-08-01 63.7790619918771 25.8428492515553
2001-09-01 64.0105228942603 25.9014875793028
2001-10-01 65.7541279678281 25.0246180809641
2001-11-01 66.6599492676436 25.2713150157889
2001-12-01 67.1744161515413 26.7567883579324
2002-01-01 67.6026273097272 28.9844970132265
2002-02-01 67.8788290283207 30.2960718744816
2002-03-01 68.5453189166629 30.4289109292924
2002-04-01 68.9965440254458 32.9532722599354
2002-05-01 69.3144521551672 32.6573266712387
2002-06-01 69.9844426614074 32.7777504629857
2002-07-01 69.8598573369464 32.8314676965729
2002-08-01 70.4221300485846 33.2032278549634
2002-09-01 71.4280413647607 33.2255028200089
2002-10-01 71.7531296657528 33.5023369080211
2002-11-01 71.502627393589 33.870421430439
2002-12-01 72.1092413239307 34.3390544301128
2003-01-01 72.6554992514869 33.3673411960281
2003-02-01 72.7691193789782 35.7110417138285
2003-03-01 73.2705583300051 35.5348906535942
2003-04-01 73.4828005497059 36.3486922946692
2003-05-01 73.5878365149816 36.4482194001325
2003-06-01 74.1837446063517 36.5552040035569
2003-07-01 74.6409685865858 36.4443934815454
2003-08-01 74.8587159004294 36.8419975998254
2003-09-01 75.2428461799002 37.0025626076227
2003-10-01 75.2575973110645 37.8580571525025
2003-11-01 75.3513577303112 38.3460666656264
2003-12-01 75.6399801864306 38.3918986331438
2004-01-01 75.5239762379696 38.8137879099062
2004-02-01 76.036742008979 38.8005329869511
2004-03-01 76.4589641226225 38.7435233245805
2004-04-01 76.5965473368715 41.9504718748053
2004-05-01 76.6042743469333 41.7631469914555
2004-06-01 77.3434477606143 42.5378074640891
2004-07-01 76.8680879687803 43.4566668437174
2004-08-01 77.7447605611317 45.5837250585213
2004-09-01 78.1642421769784 45.1826539698783
2004-10-01 77.9070268520644 45.1586633404623
2004-11-01 78.5420279983978 45.0511571845191
2004-12-01 79.7682086461143 47.0244555703382
2005-01-01 80.27775135604 47.3655728833571
2005-02-01 80.4417138581241 47.8779262919888
2005-03-01 80.6535008453685 47.8848562772808
2005-04-01 80.5886025528081 48.9612788793372
2005-05-01 80.4815108065872 50.9010973984812
2005-06-01 80.8926909177436 50.6511084359092
2005-07-01 81.0794521091159 50.0649896781099
2005-08-01 81.941701427116 52.736693459237
2005-09-01 82.8356960632629 53.3709589967116
2005-10-01 82.6608574278513 53.2465921473755
2005-11-01 83.2760509634539 54.1328684416656
2005-12-01 83.4698276845754 54.3401614924698
2006-01-01 83.7889203858549 56.9433758075266
2006-02-01 84.4644973332077 58.447537193537
2006-03-01 85.0896633043418 59.4751419006295
2006-04-01 85.4639245317609 59.289269363552
2006-05-01 86.069179613355 59.2543584713155
2006-06-01 86.4807202237817 60.0276909473096
2006-07-01 86.8700640344876 60.3334863882974
2006-08-01 87.2252540397303 59.5031380031436
2006-09-01 87.2340803950751 59.9354572138694
2006-10-01 87.2096803101237 59.4164300709213
2006-11-01 87.7152327735482 59.1922426539665
2006-12-01 87.7351533538112 59.6005235942425
2007-01-01 88.0678186509367 61.2633506615483
2007-02-01 88.1339400654782 62.8951710224859
2007-03-01 88.4530844982987 63.322278513458
2007-04-01 88.6412283925087 64.3917402916525
2007-05-01 88.930787371171 64.8862420293028
2007-06-01 89.046411461782 65.1447847690075
2007-07-01 89.5482535345383 66.3821531327523
2007-08-01 89.8236074241516 68.9056211070811
2007-09-01 89.8363662248931 68.9056211070811
2007-10-01 90.1503619275866 67.4226763226679
2007-11-01 90.238595634342 68.5995396177556
2007-12-01 90.2595720531165 67.4683334231826
2008-01-01 90.4946983247311 68.5151652213289
2008-02-01 90.7586171365636 69.2954215205005
2008-03-01 91.3035133564452 70.5346471058443
2008-04-01 91.4911730246907 71.8993566090531
2008-05-01 91.4390004230326 72.6998919987407
2008-06-01 91.5416496200528 73.7221114514479
2008-07-01 91.6321304191147 74.4510326597364
2008-08-01 91.989962870446 74.8674889679932
2008-09-01 91.9556502039795 75.5298341358483
2008-10-01 92.0854165676102 77.2488288491407
2008-11-01 92.3295391655438 77.7765228754934
2008-12-01 92.7643386709087 77.8414393820165
2009-01-01 93.0030694925887 80.2310116971925
2009-02-01 93.5318188778153 77.7926144966778
2009-03-01 93.4834931920887 80.9317502118307
2009-04-01 93.8014682849692 80.9355790649206
2009-05-01 93.8334521280825 81.0047491765345
2009-06-01 93.7685977339778 79.6600539938626
2009-07-01 93.7330558220281 80.8851061733261
2009-08-01 93.8626026231704 81.4972427698833
2009-09-01 93.9414063777043 80.9887468273754
2009-10-01 93.8383923575497 81.2419751930266
2009-11-01 93.9331900107308 82.4011700718681
2009-12-01 93.9793704227071 82.7034956654693
2010-01-01 93.9283128099181 83.5778972774376
2010-02-01 93.8733918085232 83.6012473940835
2010-03-01 94.1465150866912 83.4801071360924
2010-04-01 93.8953292678862 83.1203341448096
2010-05-01 93.8463590474716 83.1203341448096
2010-06-01 93.9296875652545 83.6491155584248
2010-07-01 93.8937128360085 83.6491155584248
2010-08-01 93.9744763380345 84.8632196694033
2010-09-01 92.6210148898343 85.6632914012933
2010-10-01 92.5362874196826 85.4671413758199
2010-11-01 93.3444583557569 85.4653845500941
2010-12-01 93.2664628193041 84.2713067233579
2011-01-01 92.7029128240739 84.0883747828652
2011-02-01 92.6907876895658 84.5709179119573
2011-03-01 92.6949058446426 84.5705225093185
2011-04-01 92.6910747468438 84.3161076704618
2011-05-01 92.7082696966791 84.4174695140617
2011-06-01 92.7680375476925 84.5338483187784
2011-07-01 92.7595285850943 84.472936957455
2011-08-01 93.9386124015301 84.6725202292235
2011-09-01 93.6904266060428 84.7515863344245
Return to Figure 2

Figure 3: Credit Spreads on Corporate Bonds by Type of Firm

date spread (nonfinancial) raw spread (nonfinancial) spread (financial) raw spread (financial)
1986-01-01 206.152160587042 152.69549698848 175.6653447875 146.369709239893
1986-02-01 157.050440627138 188.480412183854 125.819840181409 178.220479295861
1986-03-01 160.408302069944 237.737092775162 140.01516473205 225.663441214586
1986-04-01 152.548639207635 228.84125624986 129.256528703846 220.126585036699
1986-05-01 119.848891500297 191.349118346726 92.90807581079 177.197012546116
1986-06-01 126.662361618347 224.558331839503 107.888655599107 209.729533780532
1986-07-01 155.34980966893 231.932876206423 128.500727489852 221.13924416401
1986-08-01 180.911259430729 247.77244305742 168.359574080619 252.167457971678
1986-09-01 159.571361059754 210.528496104427 149.71576180955 233.544989884112
1986-10-01 174.580869082919 219.659844306749 153.267834608172 235.340442221053
1986-11-01 215.719565261634 225.94973188338 193.92917907609 255.262463915406
1986-12-01 213.600546114564 218.716391400488 187.69444568462 244.764579435892
1987-01-01 203.922310762285 204.124147927641 192.571379502004 243.655982182154
1987-02-01 242.392675279022 208.948028260942 226.592572798704 251.624162479692
1987-03-01 226.239867054626 199.546029741435 212.018809996223 244.001118236158
1987-04-01 142.874404993426 180.479006773439 139.959331160671 225.291522783461
1987-05-01 170.505465312045 189.259844584315 156.688982481226 220.670523634662
1987-06-01 173.95456734934 183.112745321689 163.461559759152 220.512061688901
1987-07-01 181.306916608121 179.458295665183 163.08987378293 213.402718795381
1987-08-01 193.409698217114 169.667991070312 168.960359266703 203.071227369968
1987-09-01 178.911985364774 168.502985629769 140.152988465576 177.963399037723
1987-10-01 140.641226371457 171.865537408973 131.84166127335 225.80112251441
1987-11-01 147.957828660671 163.348228031506 139.499065694919 227.668436628615
1987-12-01 145.580927632729 155.265250658419 142.391675365451 228.879181389206
1988-01-01 147.559112608805 167.878176436708 156.625050521508 253.62690982487
1988-02-01 172.093729319962 166.121744753165 181.987050196463 255.890588682818
1988-03-01 161.415401115509 153.47840097743 164.737556294141 237.400014390904
1988-04-01 159.382488111303 148.748906733059 146.496704972755 212.491566630795
1988-05-01 197.183187722093 150.151190161501 151.229857654209 189.611386113
1988-06-01 164.819194425011 155.188226831698 144.751140900988 199.973382480804
1988-07-01 165.103412922412 136.730901271559 143.768931864526 183.670696673963
1988-08-01 170.671386102706 137.276473648263 136.49821658396 159.070136949348
1988-09-01 175.136304041108 150.848740710615 142.487123917617 170.789932043033
1988-10-01 172.896503069802 157.294492645667 147.503176241347 183.329486529768
1988-11-01 171.120076497192 153.616887438573 134.703714045661 172.221685982063
1988-12-01 165.807259943394 152.095285137125 136.720071109391 175.018463779777
1989-01-01 169.04436645636 157.405714993616 145.163937276822 180.904408933457
1989-02-01 162.671953789978 143.393661715551 128.346434140768 157.02123546975
1989-03-01 169.896132077328 149.352261235114 130.675233687887 150.243479315857
1989-04-01 178.587022264583 151.61036917053 157.863760349345 176.794677034657
1989-05-01 168.710577168311 165.579526956281 147.184969777367 172.672086815386
1989-06-01 167.921331458693 175.446982924294 151.092916434837 190.699259080629
1989-07-01 172.283228921878 171.177005122024 178.280036612843 208.302845295414
1989-08-01 143.251603188944 137.409151083162 147.306115798426 181.049991841847
1989-09-01 133.344449501693 123.229500760459 142.995080944177 169.009879011767
1989-10-01 132.941331192997 119.059243963801 159.141890020569 187.938059083262
1989-11-01 149.877383540248 123.409215884235 172.160895963417 174.983462659815
1989-12-01 144.283652737033 120.30364609161 165.362138232796 167.789428120861
1990-01-01 139.008047265307 112.395759220314 154.566562039839 159.92893577982
1990-02-01 129.919141573053 106.276207519925 146.455330693253 162.014063336618
1990-03-01 129.795030278118 107.289779120704 141.721722427989 147.735816568597
1990-04-01 124.226611657084 94.4201263400874 142.450574887841 144.653285045849
1990-05-01 118.209406634541 92.0622446619994 148.407192846865 148.533071500283
1990-06-01 120.307141046595 92.1183189651077 148.547249635309 149.398174172943
1990-07-01 119.52480941717 93.3450349971011 169.584237163351 163.738937932201
1990-08-01 101.397836943971 85.5125081296523 140.299098756436 146.686535293089
1990-09-01 107.201637235348 92.1082634802822 199.968032426644 204.772390664753
1990-10-01 137.677894059884 114.980311380371 223.607052709764 248.79137128578
1990-11-01 152.873152429807 128.285303668543 259.691173429725 261.136436305432
1990-12-01 138.587993227898 131.02241182507 205.011646868132 253.293685218128
1991-01-01 149.537413400007 124.839326841019 275.756617406549 303.723341788282
1991-02-01 132.675525901459 107.451256081419 236.225624113024 254.719727727203
1991-03-01 126.243370653364 99.8090076681917 203.778329802492 211.006261118251
1991-04-01 115.873507406448 99.6848884548611 153.778469270134 166.312992930474
1991-05-01 118.420104776211 98.2145231442729 144.879461218927 141.697841905371
1991-06-01 119.784414787655 95.3846455529975 152.911215225044 146.468394361436
1991-07-01 117.832404152609 96.6237756529567 149.358739488298 144.287935863514
1991-08-01 118.888722143344 100.391473381826 155.24177119168 149.403622719786
1991-09-01 122.059007596543 104.548739266624 169.481238664709 161.398146760605
1991-10-01 112.931292778416 101.121214939011 170.164811642674 167.951947536643
1991-11-01 113.457912100066 98.6615351885254 162.685341259066 157.145419186933
1991-12-01 117.565035276075 102.640935588752 168.196211453768 163.222522263896
1992-01-01 103.405422904403 91.5379708270885 122.895369016678 121.249895517421
1992-02-01 98.2818361183376 84.8403738084576 107.114192475788 104.867714044398
1992-03-01 97.3017104595138 84.9036810627088 101.121128595688 96.5100013330345
1992-04-01 99.9271423189818 89.6367060194737 104.557969469767 100.74086603942
1992-05-01 99.5654653478093 89.2957751994061 97.7390741456969 93.1250724429934
1992-06-01 101.935411471689 90.4102593583244 92.300246997532 86.9424251157453
1992-07-01 97.9413601142858 91.7412394377978 83.8454084742303 81.1131956580239
1992-08-01 104.73160752689 99.5392887072283 92.159323423991 90.3873772291206
1992-09-01 119.187897318297 107.996649487735 102.244782623173 99.5071333696669
1992-10-01 117.442533570629 112.221890807947 110.397097061042 108.518756239287
1992-11-01 114.829442269863 107.824523650501 109.48848156427 106.708115238212
1992-12-01 118.832891291448 111.951438795835 113.225076376686 110.009112120559
1993-01-01 118.600916538157 110.967347862813 109.235958452536 105.194809616793
1993-02-01 116.383181719416 111.334497744481 99.126749283989 97.3245812740368
1993-03-01 114.329856813988 109.404595207137 95.4972067351685 93.6534468309507
1993-04-01 116.537651404203 113.312449013519 85.3187169744867 84.0548336822827
1993-05-01 110.196577001776 106.972059178778 83.1385919276126 81.5948521688086
1993-06-01 108.812610928291 108.105872516183 81.7713772189397 80.1558147279642
1993-07-01 105.07404751311 107.415671982509 79.5688336373207 79.3974077684016
1993-08-01 108.302574332961 111.229099753453 81.5506220195 81.0284923049617
1993-09-01 112.546335940542 115.537842787925 82.0537372649445 81.0581578517621
1993-10-01 107.531107743439 112.275790035023 78.8021078712595 78.1616198596099
1993-11-01 101.359992514819 107.10623398351 77.1604555922898 76.9717587232083
1993-12-01 100.453491674064 104.719009409847 73.0299710834058 73.3135524771877
1994-01-01 95.5393657695734 99.6857410302728 70.353863581949 70.4044343860837
1994-02-01 89.6771858492489 93.3009960431063 67.0414119422482 67.5996918236241
1994-03-01 98.8139938567535 104.667739395455 73.7474801897537 75.5961520733845
1994-04-01 99.3943145325084 105.46484509596 75.7867400003928 77.8073213429895
1994-05-01 101.70401956387 109.283790452122 77.16787325594 79.6426163842802
1994-06-01 99.3949089339677 106.527523330579 77.1235727065586 79.7777528749585
1994-07-01 99.6413938918793 105.638007297699 76.6318714857772 77.8481831873343
1994-08-01 99.2783515884567 102.715363438971 79.2610410552093 79.3851289612895
1994-09-01 97.7871671476065 99.9570037156607 75.2686138272704 76.2064042264658
1994-10-01 101.582341328437 102.028251247096 87.5690310868202 86.802564494176
1994-11-01 107.495670548348 108.04666874146 95.2646903496937 94.5582764488601
1994-12-01 108.453849546159 110.775360639729 100.247297772008 100.002836072666
1995-01-01 110.954143401821 111.783050270465 99.6348901485511 98.7040617537866
1995-02-01 104.177368973416 102.999710149018 94.8984230749447 92.7006318965853
1995-03-01 103.14367686355 103.439371717036 93.2407978265877 91.5809074046098
1995-04-01 100.48755803658 101.616691914641 91.9727074342776 90.1984047134456
1995-05-01 99.8454154766597 108.406396834333 88.4446241429075 89.1719516680036
1995-06-01 100.490107221597 111.581781053914 86.3225882588945 88.0376268774096
1995-07-01 96.238158914617 104.120168796541 81.1533339449725 81.8534576696776
1995-08-01 96.4819748604377 105.192637557656 78.7946456178043 80.1475997688965
1995-09-01 96.118031871816 104.578427466979 76.5429072630202 77.4404198468953
1995-10-01 101.727514394219 112.281570398581 78.6120226524832 80.3471168976443
1995-11-01 105.264165579526 114.64316272536 81.4005343013976 81.9717521031403
1995-12-01 105.59340403901 116.404969174986 82.6452729687394 83.7564388271835
1996-01-01 102.679963062295 114.819296113022 75.9556721844559 77.5279878656596
1996-02-01 100.111226173578 108.60136880429 71.1394398287764 72.2647353292264
1996-03-01 95.6951995201105 104.193227182363 66.8692012608069 68.3906856208595
1996-04-01 95.3152537225478 103.06815243663 65.8109430217429 67.3777355178616
1996-05-01 92.5115943304256 99.3812696922526 63.9063368348046 65.4267207884393
1996-06-01 94.9693055608821 101.979585648151 65.7674013590294 67.102931343882
1996-07-01 96.1812563257172 101.960145966579 67.9724552604569 69.0543395931443
1996-08-01 94.2135287075927 99.3273914481108 68.2861502871046 69.8791612406874
1996-09-01 90.1434445620364 96.7099870201865 65.7872223594521 67.4692910052345
1996-10-01 92.3806196242399 100.523018919019 65.2458957463881 67.2314880400342
1996-11-01 93.1633028947677 103.089881820932 66.0044011096839 68.1370563225526
1996-12-01 90.8621791588916 99.5926824192519 66.881023872583 70.2924104825311
1997-01-01 91.6138374472419 99.4324189399958 64.8669774709668 67.8790541653324
1997-02-01 85.357216169344 92.2345816751554 57.3614032681388 59.8884901978822
1997-03-01 90.9142689695967 95.2125587369756 61.5768263435144 63.7969096441914
1997-04-01 92.6101466010431 97.2152295502121 69.9847089357391 73.2113487249945
1997-05-01 90.728729748939 93.1408924028048 67.3647544558194 69.4828931662959
1997-06-01 92.1270111343959 95.5588052678654 68.6781165201487 70.903146948411
1997-07-01 87.324156318276 95.800862799288 68.0309800690107 71.5886346830048
1997-08-01 86.7493131926908 94.1547820541558 67.6489332152856 71.0343088532939
1997-09-01 86.0761719010086 93.6989710452631 67.2814127753598 70.3617565110372
1997-10-01 94.9145606428289 109.684493131719 81.1771173125559 90.3282313198552
1997-11-01 96.4394128364639 109.764850495503 83.4513114663029 91.9221324811492
1997-12-01 99.487747554439 114.339499878721 83.0567643132567 91.3952783866124
1998-01-01 107.301495427412 122.788189635388 92.2298820282023 100.019568951121
1998-02-01 104.553120338585 116.225101128334 82.8290492411038 87.7074368864668
1998-03-01 101.010796695564 115.713005296011 81.0559373802368 87.4517783451842
1998-04-01 98.9245918999286 109.392929275358 79.7823626121924 81.4829144957685
1998-05-01 98.971537323003 108.992325353314 78.1661024525102 79.3875147088695
1998-06-01 107.045633774754 119.465869956498 84.0181595604046 86.2439377146547
1998-07-01 112.8899698988 121.654511518099 87.5816653037405 88.7399232296119
1998-08-01 163.202869704882 187.343352785119 126.950518352619 134.662858883702
1998-09-01 160.506303227297 187.385968244227 159.160082754721 167.832638240122
1998-10-01 169.726713865474 205.19299406294 180.021531315893 200.049353509691
1998-11-01 146.163103482647 170.691535956974 138.730393536319 152.434094448243
1998-12-01 142.016373716431 168.76940521992 137.879464095105 152.910432476788
1999-01-01 141.054416021838 163.714461054829 139.166970981842 152.878518495712
1999-02-01 136.571180312269 154.49646261983 123.638925058221 134.820535616662
1999-03-01 134.976346564642 145.82476784869 117.833990141185 124.706773814418
1999-04-01 131.824031801796 142.968946280792 113.655397239676 120.977307744193
1999-05-01 139.307936265435 149.532115669531 116.4035994015 122.392437957797
1999-06-01 147.499784093351 156.970379136597 120.185150682666 125.681585005674
1999-07-01 161.797822899655 172.052300306885 125.174641168024 129.297382830407
1999-08-01 167.000366172188 176.762798633161 133.184708392535 136.208749475847
1999-09-01 168.179675110293 178.76954136791 128.514768662207 131.625113673614
1999-10-01 156.463774093763 176.423371825337 115.888021535824 125.117788895343
1999-11-01 159.571336677924 172.625136393513 114.41219613963 121.542716569396
1999-12-01 147.638010147956 161.468444224623 111.825985444623 120.032101662078
2000-01-01 155.63519087541 171.395949065362 110.369050250367 119.921862516537
2000-02-01 165.831902463514 184.137844550212 120.64470785586 132.001585904822
2000-03-01 193.89314619402 215.946514598908 134.85206395035 147.958032119543
2000-04-01 212.429868867901 230.41129995006 161.221319587573 184.936075749313
2000-05-01 227.446828931007 246.84711907542 176.832054275671 203.445475150522
2000-06-01 219.594974974797 239.463476106779 172.296887660416 195.441759934945
2000-07-01 228.623602508728 247.653758578039 166.225201262811 187.18416836608
2000-08-01 237.459708154469 254.694274053343 166.950577059325 185.547548550364
2000-09-01 251.263264719766 259.287678313317 157.912522354702 172.226763371275
2000-10-01 289.130692041515 296.373389935104 180.998985328264 196.749659015241
2000-11-01 299.943339872265 308.19312429294 187.109206644789 203.377419339549
2000-12-01 299.510380233098 308.758185651487 175.060380687949 191.292274152041
2001-01-01 255.160315131508 265.033557893699 145.339642969997 155.642694881587
2001-02-01 252.468372760321 269.658909910392 144.491951059619 156.76549172905
2001-03-01 270.074278791594 275.881851396951 150.133464443764 160.613833827178
2001-04-01 258.536439802165 262.785558770011 131.667111209976 140.319819231487
2001-05-01 248.380441192766 251.341430788616 126.14004594425 134.414111264292
2001-06-01 258.186967438848 260.716488548241 125.643015728136 133.146666964706
2001-07-01 234.287983554145 244.382996283698 123.472275399027 133.28318994322
2001-08-01 234.367905444451 244.469685957743 129.153162474926 140.436237852683
2001-09-01 277.105463838115 283.810573959781 159.522363579594 176.680243730097
2001-10-01 244.957176866846 275.551956775746 143.664970569421 161.308364112653
2001-11-01 221.172260474981 235.142734567666 130.562553796687 142.064443965165
2001-12-01 210.191092223237 234.66124202288 120.350811489346 136.156820538451
2002-01-01 221.03850056872 237.867661063516 124.290464070135 138.188048282583
2002-02-01 244.17332013299 248.176759018092 121.22541760485 131.071456824572
2002-03-01 234.208984161933 231.996720416373 114.628450409602 124.741796928873
2002-04-01 224.935707584664 233.429000817166 114.555090994919 121.497407570654
2002-05-01 238.089820096659 235.921450995439 107.505435295753 110.608190792578
2002-06-01 283.731135527823 278.339886013359 123.948508597518 128.962251236495
2002-07-01 343.782797253365 337.215142613566 146.417858446832 151.867877686912
2002-08-01 293.280295949693 333.775276017017 140.223942364533 154.87686026958
2002-09-01 295.992108724122 354.781446737437 139.923807138217 160.457227784015
2002-10-01 317.587776583123 356.744574616789 152.652591758301 168.080325796912
2002-11-01 263.343675195913 296.057900129772 123.157549362339 138.851840904276
2002-12-01 258.67793398979 295.627941295918 124.763470190957 140.190512275444
2003-01-01 255.077381226878 278.870691199918 111.824608787471 122.517999307859
2003-02-01 247.644554879636 273.875200250698 105.531269222367 114.412280476541
2003-03-01 240.055124006781 257.194023428284 103.112301737946 110.350118778617
2003-04-01 210.829677014724 217.118159774854 93.1811966084733 96.3506528427225
2003-05-01 197.695505380921 225.03990945346 88.51721472925 95.6450798256941
2003-06-01 188.528345329792 208.573451865046 83.6911287723308 88.0721591334327
2003-07-01 174.684780711053 204.146585958203 76.1353492102947 86.223112339825
2003-08-01 164.978903570232 198.973147745861 78.2383538195252 89.5410496707226
2003-09-01 156.444896708741 195.460060655206 72.7647866150944 83.5000221319108
2003-10-01 140.753658956112 176.136011685887 66.5542217088612 76.5250232219305
2003-11-01 140.636443700023 168.569799078987 67.9864555884716 75.5320209750651
2003-12-01 127.850157899418 156.867959599763 67.010499719243 72.3677404648017
2004-01-01 124.454392613802 153.356016254627 64.1141240015089 69.6702990495678
2004-02-01 141.813701847858 162.866673030859 71.8103750016581 72.1573529467771
2004-03-01 139.256711970555 164.386123810285 69.1407574168578 70.1111946777901
2004-04-01 129.151584299607 150.337404617432 64.243928064147 66.9536961442206
2004-05-01 144.405225561608 164.134225720119 75.0531135061403 77.7345281711307
2004-06-01 149.632114836335 159.143719258422 81.7849807762617 78.7171726567714
2004-07-01 140.839008376629 150.804421371734 76.4061255220813 74.1849915297294
2004-08-01 142.327816615722 159.84584681306 77.0407894429006 75.6731715222491
2004-09-01 140.24508052426 152.75331281398 75.9775569732064 72.9360434319419
2004-10-01 140.652846620447 152.073172537983 79.7365576618095 76.3299020376738
2004-11-01 125.916067274336 138.515586365208 72.4081424312556 71.3513459844951
2004-12-01 123.062895083904 136.053962262499 71.7978858279471 70.7259487703162
2005-01-01 127.993601775084 142.834927289459 64.0013874379834 64.6012763263799
2005-02-01 116.389002279935 129.063999582403 59.3058702110406 60.7857318111194
2005-03-01 149.439710757976 161.290740522724 69.0739262999175 69.4360574209653
2005-04-01 170.797103146567 184.119635782872 73.1650972192911 74.3037974344236
2005-05-01 164.415544483953 182.487579096191 76.2558277464091 77.088331325123
2005-06-01 147.921112265951 170.936084392885 73.4520238153115 75.902440479669
2005-07-01 131.414897242817 150.140711691844 68.8374661071913 70.8468212076085
2005-08-01 136.267852607517 159.567477979923 71.8941520371374 72.8161953409771
2005-09-01 145.180810828115 157.556101200828 74.3137710256466 71.8100774194978
2005-10-01 146.182163635679 160.443709001005 74.0717457350113 73.0092228315491
2005-11-01 158.249034587625 168.960133502352 77.817012779734 76.1276610770722
2005-12-01 162.442567169836 173.799816743859 79.0644692628623 76.9763221813265
2006-01-01 150.193393760465 159.220162531432 78.5140934278193 74.9209897424732
2006-02-01 157.806118085597 159.459576997308 79.0196192044217 72.6652017079291
2006-03-01 151.968953423143 151.233670682841 81.4466550211031 73.0559945344778
2006-04-01 151.326934185151 146.098803644484 87.74880062186 75.054016441915
2006-05-01 146.471282708693 148.690426627369 84.0831141722208 75.4903387110111
2006-06-01 160.078345915346 156.059156706867 94.2298861153848 79.9604711435147
2006-07-01 163.809650397659 159.938390691778 94.6482323203704 80.5239935125533
2006-08-01 166.222960387286 160.806862448777 95.1140024028865 78.2922546997679
2006-09-01 163.88845634433 159.550059982934 95.0323884547015 78.1200618888182
2006-10-01 157.122199484952 154.444155367194 90.9627615930588 75.4363845226041
2006-11-01 146.081252642524 150.244219983893 84.4970090347148 72.7372861351018
2006-12-01 141.043602533388 139.613004073382 82.1165105882128 70.1436547393394
2007-01-01 139.034589378923 134.910107081115 82.5392059956264 67.2660650930998
2007-02-01 135.706135677053 138.362289072589 83.8781925989563 70.998607610483
2007-03-01 146.863325393395 143.81810161131 94.1322122350261 76.5011945329052
2007-04-01 148.592826770113 140.772354650152 99.5715789331602 78.3564493757969
2007-05-01 136.74210401096 132.858588881293 93.7660633841728 77.702877645086
2007-06-01 145.95659954925 150.247220199302 97.474438627984 85.0168897861646
2007-07-01 186.95034960906 201.02896519554 124.938750691261 114.406616776245
2007-08-01 208.842869374578 214.583694890591 163.659858237878 146.752263898888
2007-09-01 195.526239516659 206.639362587594 150.111132117738 141.157187869695
2007-10-01 196.06314420772 205.380398275746 152.267489552765 142.660432005685
2007-11-01 214.466218602587 256.517775276984 189.106630707511 199.994103758819
2007-12-01 206.892006618404 263.980404750862 180.408763205445 201.335679501454
2008-01-01 226.023837364977 300.601208464065 190.942242748082 221.700070469993
2008-02-01 235.115520629047 326.621053561309 196.733225239317 243.109673174498
2008-03-01 255.25646532691 355.183173929853 262.981054554073 324.522080468083
2008-04-01 248.311820246143 303.042761860831 235.544820130626 271.795911199277
2008-05-01 246.375064494128 288.654910395217 232.810099183685 261.010614239553
2008-06-01 300.668736758483 319.579811901395 284.67397161623 294.449304824473
2008-07-01 322.40879856595 344.35594535655 304.76584027612 322.774354804344
2008-08-01 321.986909187355 352.542263677078 322.596546338121 343.692808644088
2008-09-01 282.168161221242 427.009945257014 472.237582624936 635.180569460098
2008-10-01 455.619367011779 638.735264749699 427.87373272555 621.965988494297
2008-11-01 301.15527538572 656.058004231954 350.816864326855 692.986414353668
2008-12-01 266.430719674869 613.415181293611 287.279208663837 583.421581359345
2009-01-01 273.968703831531 512.222808264248 302.455077926472 564.752425238732
2009-02-01 240.891905750291 498.455626997419 293.839961047022 565.201510041376
2009-03-01 329.093648738337 501.423769773907 430.730306925425 654.812862356021
2009-04-01 283.842768990714 413.307811879201 389.233835795792 578.904919016571
2009-05-01 223.400863596881 365.03805127925 279.866027091378 466.781498519647
2009-06-01 218.577051087171 320.748684080712 274.889804919541 411.450322886486
2009-07-01 192.789017274326 258.225715207789 241.228603815673 348.072392963114
2009-08-01 192.105015238309 253.627361013665 227.882121975745 319.498718832987
2009-09-01 173.874321045274 236.770224051978 213.195803331762 297.476508491582
2009-10-01 178.520803185465 229.210569244417 196.832356021722 262.88439312471
2009-11-01 189.815189793494 229.859563400494 205.876653153611 249.530856752364
2009-12-01 165.252463162223 194.676484064766 176.940901496179 212.577135075236
2010-01-01 168.374657286154 196.350252601149 179.919961278059 207.340697235886
2010-02-01 181.532775011687 198.253102787678 205.935013128069 212.635132739692
2010-03-01 170.396354472576 180.477296110833 186.642389937874 185.13041516399
2010-04-01 151.141770579002 170.816650474394 186.031810095467 191.363534195998
2010-05-01 145.156732409367 211.36463518695 191.472284482227 255.944179872675
2010-06-01 155.406601835899 216.773496928601 199.520853931792 257.624144205688
2010-07-01 157.06995881512 202.538612494587 192.597658552999 223.269291229764
2010-08-01 125.407578789593 215.452996386851 147.962105317793 229.058641164585
2010-09-01 129.972724429962 204.603238505382 148.847009652897 210.05724315849
2010-10-01 138.24866845138 194.870230914879 160.962642069806 198.103181315183
2010-11-01 145.438029246846 208.594324784955 162.533933279021 204.145193221513
2010-12-01 136.735929928583 189.754185698969 145.304309311915 178.997227185797
2011-01-01 128.735417701135 171.231945482512 144.341799090681 169.866813730221
2011-02-01 129.74598148736 161.554696900342 140.246253696678 154.557157328414
2011-03-01 136.253649314671 160.012701346375 150.861683110339 157.3316245159
2011-04-01 136.241658575782 159.180775174224 150.318053099985 153.178569035833
2011-05-01 141.669403787937 167.242555099867 161.949348379211 162.894320989108
2011-06-01 139.516738464593 174.412404532277 167.343596679133 179.679552695634
2011-07-01 127.887813888347 173.921884066337 159.212319176474 182.363840237859
2011-08-01 137.500723709414 233.006541902482 174.023651842926 258.210472168019
2011-09-01 136.432418206322 259.418657430191 175.394444015602 303.839984759194
Return to Figure 3

Figure 4: Final Posterior Probabilities by Predictor Subset

GDP Current 1 quarter 2 quarters 3 quarters 4 quarters
GDP PS-I 0.87 1 1 1 0.98
GDP PS-II 0.08 0 0 0 0.02
GDP PS-III 0.03 0 0 0 0
GDP PS-IV 0 0 0 0 0
GDP AR 0.02 0 0 0 0
Consumption PS-I 0.98 0.92 0.51 0.34 0.02
Consumption PS-II 0.01 0.08 0.48 0.66 0.98
Consumption PS-III 0 0 0 0 0
Consumption PS-IV 0 0 0.01 0 0
Consumption AR 0.01 0 0 0 0
Investment PS-I 0.16 1 1 1 1
Investment PS-II 0.02 0 0 0 0
Investment PS-III 0.81 0.01 0 0 0
Investment PS-IV 0 0 0 0 0
Investment AR 0.01 -0.01 0 0 0
Industrial Production PS-I 0.99 1 1 1 1
Industrial Production PS-II 0 0 0 0 0
Industrial Production PS-III 0 0 0 0 0
Industrial Production PS-IV 0 0 0 0 0
Industrial Production AR 0.01 0 0 0 0
Employment PS-I 0.98 1 1 1 1
Employment PS-II 0.01 0 0 0 0
Employment PS-III 0 0 0 0 0
Employment PS-IV 0 0 0 0 0
Employment AR 0.01 0 0 0 0
Unemployment PS-I 0.94 1 1 1 0.99
Unemployment PS-II 0.06 0 0 0 0
Unemployment PS-III 0 0 0 0 0
Unemployment PS-IV 0 0 0 0 0
Unemployment AR 0 0 0 0 0.01
Exports PS-I 0.42 0.98 1 1 1
Exports PS-II 0.08 0 0 0 0
Exports PS-III 0.03 0 0 0 0
Exports PS-IV 0.47 0.01 0 0 0
Exports AR 0 0.01 0 0 0
Imports PS-I 0.78 0.99 1 1 0.99
Imports PS-II 0.03 0 0 0 0
Imports PS-III 0.14 0 0 0 0
Imports PS-IV 0.03 0.01 0 0 0
Imports AR 0.0199999999999999 0 0 0 0.01
Return to Figure 4

Figure 5: Real-Time Posterior Probabilities for Credit Spreads in DD-Based Portfolios

date GDP Consumption Investment Industrial production Employment Unemployment Exports Imports
1992Q1 0.05 0.03 0.13 0.02 0.06 0.03 0.06 0.11
1992Q2 0.05 0.04 0.09 0.03 0.08 0.03 0.05 0.15
1992Q3 0.04 0.07 0.09 0.03 0.08 0.03 0.1 0.11
1992Q4 0.05 0.1 0.08 0.03 0.1 0.03 0.09 0.09
1993Q1 0.04 0.08 0.06 0.06 0.12 0.03 0.08 0.06
1993Q2 0.03 0.05 0.03 0.02 0.13 0.03 0.11 0.03
1993Q3 0.06 0.05 0.01 0.01 0.07 0.03 0.11 0.01
1993Q4 0.02 0.02 0.01 0.01 0.08 0.02 0.19 0.01
1994Q1 0.03 0.01 0 0.01 0.08 0.02 0.15 0
1994Q2 0.03 0.01 0 0.01 0.09 0.02 0.09 0
1994Q3 0.01 0.01 0 0 0.05 0.01 0.08 0
1994Q4 0.01 0 0 0 0.03 0.01 0.07 0
1995Q1 0 0 0 0 0.02 0.01 0.08 0
1995Q2 0 0 0 0 0.01 0.01 0.08 0
1995Q3 0 0 0 0 0.01 0 0.05 0
1995Q4 0 0 0 0 0.01 0.01 0.05 0
1996Q1 0 0 0 0 0 0 0 0
1996Q2 0.04 0.02 0 0 0.01 0 0.04 0
1996Q3 0.04 0.02 0 0 0 0 0.03 0
1996Q4 0.04 0.02 0 0 0 0 0.03 0
1997Q1 0.05 0.02 0 0 0 0 0.03 0
1997Q2 0.06 0.02 0 0 0 0 0.02 0
1997Q3 0.07 0.02 0 0 0 0 0.02 0
1997Q4 0.06 0.02 0 0 0 0 0.01 0
1998Q1 0.06 0.02 0 0 0 0 0.01 0
1998Q2 0.06 0.01 0 0 0 0 0.01 0
1998Q3 0.04 0 0 0 0 0 0.02 0
1998Q4 0.04 0 0.01 0 0 0 0.06 0
1999Q1 0.03 0 0.01 0 0 0 0.1 0
1999Q2 0.02 0 0.01 0 0 0 0.07 0
1999Q3 0.02 0 0.02 0 0 0 0.06 0
1999Q4 0.02 0 0.07 0 0 0 0.03 0
2000Q1 0.01 0 0.02 0 0 0 0.02 0
2000Q2 0 0 0.02 0 0 0 0.01 0
2000Q3 0 0 0 0 0 0 0.01 0
2000Q4 0 0 0 0 0 0 0.03 0
2001Q1 0 0 0 0 0 0 0.03 0
2001Q2 0 0 0 0 0 0 0.02 0
2001Q3 0 0 0.02 0 0 0 0 0
2001Q4 0.01 0 0.24 0.01 0.02 0 0.01 0
2002Q1 0.04 0 0.84 0.96 0.09 0.07 0.33 0.1
2002Q2 0.06 0 0.98 1 0.56 0.52 0.73 0.39
2002Q3 0.45 0 1 1 0.97 0.85 0.94 0.73
2002Q4 0.32 0 1 1 0.94 0.84 0.95 0.9
2003Q1 0.22 0 1 0.94 0.94 0.8 0.92 0.68
2003Q2 0.2 0 1 0.91 0.89 0.63 0.92 0.6
2003Q3 0.27 0 1 0.95 0.93 0.76 0.89 0.63
2003Q4 0.1 0 0.99 0.86 0.88 0.6 0.49 0.7
2004Q1 0.07 0 0.98 0.77 0.84 0.42 0.46 0.56
2004Q2 0.05 0 0.97 0.74 0.83 0.39 0.48 0.54
2004Q3 0.04 0 0.95 0.76 0.83 0.41 0.6 0.41
2004Q4 0.03 0 0.94 0.78 0.86 0.4 0.8 0.35
2005Q1 0.04 0 0.96 0.82 0.87 0.46 0.86 0.37
2005Q2 0.04 0 0.96 0.85 0.88 0.53 0.9 0.33
2005Q3 0.16 0 0.98 0.87 0.9 0.53 0.94 0.32
2005Q4 0.15 0 0.98 0.81 0.93 0.55 0.95 0.4
2006Q1 0.19 0 0.98 0.82 0.93 0.56 0.95 0.47
2006Q2 0.19 0 0.98 0.86 0.94 0.61 0.97 0.52
2006Q3 0.33 0 0.99 0.86 0.94 0.6 0.98 0.66
2006Q4 0.37 0 0.99 0.89 0.95 0.64 0.99 0.68
2007Q1 0.43 0 0.99 0.85 0.96 0.73 0.99 0.77
2007Q2 0.52 0 1 0.92 0.97 0.78 0.99 0.84
2007Q3 0.83 0 1 0.97 0.98 0.82 1 0.88
2007Q4 0.85 0 1 0.98 0.98 0.81 0.99 0.91
2008Q1 0.89 0 1 0.99 0.98 0.88 1 0.93
2008Q2 0.95 0.01 1 1 0.99 0.95 1 0.94
2008Q3 0.97 0 1 1 0.99 0.95 1 0.94
2008Q4 0.99 0.05 1 1 1 0.99 1 0.98
2009Q1 1 0.15 1 1 1 0.99 1 0.98
2009Q2 1 0.07 1 1 1 0.98 1 0.95
2009Q3 0.71 0.01 1 1 1 0.75 1 0.82
2009Q4 0.97 0.03 1 1 1 0.99 1 0.98
2010Q1 0.98 0.02 1 1 1 1 1 0.99
2010Q2 0.98 0.02 1 1 1 1 1 0.99
2010Q3 0.95 0.04 1 1 1 1 1 0.97
2010Q4 0.97 0.05 1 1 1 1 1 0.99
2011Q1 0.96 0.07 1 1 1 1 1 0.99
2011Q2 0.96 0.06 1 1 1 0.99 1 0.99
2011Q3 0.98 0.13 1 1 1 1 1 0.99
Return to Figure 5

Figure 6: Final Posterior Probabilities for Credit Spreads in DD-Based Portfolios

GDP 1 quarter 4 quarters
GDP NFIN DD-1 0.7853 0.0013
GDP NFIN DD-2 0.0591 0.0674
GDP NFIN DD-3 0.0221 0.3772
GDP NFIN DD-4 0.0033 0.1637
GDP FIN DD-1 0.0835 0.2297
GDP FIN DD-2 0.0464 0.1607
Consumption NFIN DD-1 0.1095 0.0342
Consumption NFIN DD-2 0.0038 0.1403
Consumption NFIN DD-3 0.0064 0.144
Consumption NFIN DD-4 0.0015 0.0876
Consumption FIN DD-1 0.8512 0.3101
Consumption FIN DD-2 0.0277 0.2841
Investment NFIN DD-1 0.0118 0
Investment NFIN DD-2 0.1759 0.0009
Investment NFIN DD-3 0.0063 0.0211
Investment NFIN DD-4 0.7983 0.0464
Investment FIN DD-1 0.0042 0.3346
Investment FIN DD-2 0.0036 0.5969
Industrial production NFIN DD-1 0.526 0
Industrial production NFIN DD-2 0.3785 0.0064
Industrial production NFIN DD-3 0.0537 0.1136
Industrial production NFIN DD-4 0.015 0.834
Industrial production FIN DD-1 0.002 0.0013
Industrial production FIN DD-2 0.0247 0.0445
Employment NFIN DD-1 0.2369 0
Employment NFIN DD-2 0.6754 0.0024
Employment NFIN DD-3 0.0385 0.1245
Employment NFIN DD-4 0.0225 0.8691
Employment FIN DD-1 0.0129 0.0005
Employment FIN DD-2 0.0136 0.0035
Unemployment NFIN DD-1 0.0074 0
Unemployment NFIN DD-2 0.6021 0.0081
Unemployment NFIN DD-3 0.0012 0.0988
Unemployment NFIN DD-4 0.0007 0.1782
Unemployment FIN DD-1 0.2949 0.1744
Unemployment FIN DD-2 0.0937 0.5404
Exports NFIN DD-1 0.8856 0.0047
Exports NFIN DD-2 0.0287 0.001
Exports NFIN DD-3 0.0753 0.0278
Exports NFIN DD-4 0.0074 0.9662
Exports FIN DD-1 0.0001 0
Exports FIN DD-2 0.0028 0.0001
Imports NFIN DD-1 0.0644 0.0011
Imports NFIN DD-2 0.9201 0.0082
Imports NFIN DD-3 0.0051 0.2328
Imports NFIN DD-4 0.0015 0.5121
Imports FIN DD-1 0.0005 0.0034
Imports FIN DD-2 0.0083 0.2424
Return to Figure 6

Figure B-1: Final Posterior Probabilities by Predictor Subset

GDP Current 1 quarter 2 quarters 3 quarters 4 quarters
GDP PS-I 0.449523846 0.892967405 0.966185031 0.958335988 0.928490659
GDP PS-II 0.480734409 0.105995885 0.033700693 0.040945383 0.054373221
GDP PS-III 0.069741744 0.00103671 0.000114275 0.000718629 0.01713612
Consumption PS-I 0.95480506 0.90733506 0.489965813 0.328524337 0.022573833
Consumption PS-II 0.021770126 0.011474368 0.035247673 0.018447843 0.00097422
Consumption PS-III 0.023424814 0.081190571 0.474786514 0.65302782 0.976451947
Investment PS-I 0.061163822 0.923376842 0.986138307 0.994545722 0.999674735
Investment PS-II 0.627529 0.071034979 0.013823122 0.005445675 0.000325171
Investment PS-III 0.311307177 0.005588179 3.86E-05 8.60E-06 9.41E-08
Industrial Production PS-I 0.859677763 0.94124281 0.980384133 0.983351517 0.988770061
Industrial Production PS-II 0.13010883 0.058343611 0.019578933 0.016598975 0.010945922
Industrial Production PS-III 0.010213407 0.000413579 3.69E-05 4.95E-05 0.000284018
Employment PS-I 0.800915528 0.982754781 0.98477392 0.987061927 0.994964179
Employment PS-II 0.18220783 0.01709352 0.015174839 0.012909522 0.004996069
Employment PS-III 0.016876641 0.000151699 5.12E-05 2.86E-05 3.98E-05
Unemployment PS-I 0.845952329 0.990720572 0.996819911 0.980196115 0.987845033
Unemployment PS-II 0.102145073 0.009234204 0.003175526 0.019768104 0.010205975
Unemployment PS-III 0.051902597 4.52E-05 4.56E-06 3.58E-05 0.001948992
Exports PS-I 0.163629496 0.334948763 0.665808308 0.524619872 0.338147041
Exports PS-II 0.607937922 0.660747715 0.334112297 0.475292488 0.661848215
Exports PS-III 0.228432582 0.004303522 7.94E-05 8.76E-05 4.74E-06
Imports PS-I 0.393357043 0.652107531 0.974670938 0.983446419 0.942491583
Imports PS-II 0.501106559 0.337385623 0.025249379 0.016483949 0.0538329
Imports PS-III 0.105536399 0.010506845 7.97E-05 6.96E-05 0.003675517
Return to Figure B-1

Figure H-1: BMA Forecasting Performance and the Informativeness of the g-Prior

phi Current GDP 1 quarter GDP 2 quarter GDP 3 quarter GDP 4 quarter GDP Current Consumption 1 quarter Consumption 2 quarter Consumption 3 quarter Consumption 4 quarter Consumption Current 1 quarter Investment 2 quarter Investment 3 quarter Investment 4 quarter Investment Current 1 quarter Industrial production 2 quarter Industrial production 3 quarter Industrial production 4 quarter Industrial production Current Employment 1 quarter Employment 2 quarter Employment 3 quarter Employment 4 quarter Employment Current Unemployment 1 quarter Unemployment 2 quarter Unemployment 3 quarter Unemployment 4 quarter Unemployment Current Exports 1 quarter Exports 2 quarter Exports 3 quarter Exports 4 quarter Exports Current Imports 1 quarter Imports 2 quarter Imports 3 quarter Imports 4 quarter Imports
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
0.2 0.995 0.991 0.989 0.988 0.987 0.99 0.988 0.989 0.989 0.99 0.99 0.984 0.981 0.979 0.975 0.993 0.989 0.988 0.986 0.983 0.994 0.99 0.99 0.987 0.985 0.993 0.99 0.988 0.986 0.985 0.996 0.998 0.997 0.997 0.997 0.993 0.989 0.989 0.987 0.985
0.4 0.99 0.982 0.975 0.972 0.968 0.976 0.97 0.976 0.978 0.982 0.981 0.96 0.954 0.949 0.942 0.986 0.973 0.973 0.967 0.958 0.987 0.977 0.978 0.968 0.963 0.984 0.974 0.968 0.965 0.963 0.992 0.996 0.992 0.989 0.988 0.987 0.977 0.977 0.971 0.967
0.6 0.985 0.971 0.958 0.955 0.947 0.96 0.953 0.966 0.971 0.979 0.974 0.936 0.931 0.927 0.92 0.978 0.954 0.957 0.949 0.934 0.981 0.965 0.966 0.953 0.946 0.975 0.955 0.946 0.944 0.943 0.989 0.993 0.984 0.98 0.977 0.98 0.966 0.966 0.957 0.953
0.8 0.98 0.96 0.941 0.939 0.929 0.945 0.939 0.96 0.968 0.982 0.968 0.916 0.916 0.912 0.905 0.971 0.937 0.944 0.934 0.917 0.976 0.955 0.958 0.941 0.934 0.968 0.939 0.927 0.925 0.927 0.987 0.989 0.974 0.971 0.968 0.975 0.957 0.957 0.946 0.942
1 0.977 0.95 0.926 0.926 0.914 0.933 0.929 0.957 0.969 0.988 0.963 0.9 0.906 0.902 0.895 0.963 0.923 0.934 0.924 0.906 0.972 0.948 0.952 0.934 0.925 0.962 0.925 0.912 0.91 0.915 0.985 0.984 0.965 0.965 0.964 0.97 0.949 0.95 0.938 0.935
1.5 0.971 0.931 0.9 0.904 0.891 0.913 0.911 0.956 0.979 1.005 0.953 0.875 0.896 0.891 0.883 0.948 0.899 0.92 0.911 0.89 0.967 0.936 0.943 0.924 0.914 0.955 0.902 0.888 0.888 0.897 0.982 0.974 0.949 0.958 0.965 0.962 0.937 0.939 0.928 0.927
2 0.967 0.919 0.886 0.893 0.88 0.901 0.902 0.959 0.992 1.021 0.948 0.861 0.894 0.889 0.878 0.938 0.885 0.912 0.906 0.883 0.964 0.93 0.939 0.919 0.91 0.952 0.889 0.875 0.877 0.888 0.98 0.967 0.94 0.96 0.971 0.956 0.929 0.933 0.926 0.925
2.5 0.966 0.911 0.877 0.887 0.875 0.893 0.898 0.963 1.002 1.034 0.944 0.853 0.895 0.89 0.878 0.932 0.877 0.909 0.904 0.88 0.962 0.927 0.937 0.917 0.908 0.95 0.881 0.869 0.873 0.885 0.979 0.962 0.934 0.964 0.979 0.951 0.925 0.93 0.926 0.927
3 0.964 0.906 0.872 0.883 0.872 0.888 0.896 0.967 1.012 1.046 0.942 0.847 0.897 0.894 0.879 0.927 0.871 0.906 0.904 0.879 0.961 0.925 0.936 0.916 0.907 0.95 0.875 0.865 0.871 0.884 0.979 0.958 0.931 0.969 0.986 0.948 0.921 0.928 0.927 0.929
3.5 0.964 0.903 0.869 0.881 0.872 0.885 0.895 0.971 1.02 1.055 0.94 0.843 0.899 0.898 0.882 0.924 0.867 0.905 0.904 0.879 0.961 0.924 0.935 0.915 0.907 0.949 0.872 0.864 0.87 0.884 0.978 0.956 0.929 0.973 0.992 0.945 0.919 0.927 0.929 0.932
4 0.963 0.9 0.867 0.881 0.872 0.883 0.895 0.974 1.026 1.063 0.939 0.84 0.901 0.902 0.884 0.922 0.864 0.905 0.904 0.88 0.96 0.923 0.935 0.915 0.908 0.949 0.87 0.863 0.871 0.885 0.978 0.954 0.928 0.977 0.997 0.943 0.917 0.927 0.931 0.935
5 0.963 0.897 0.865 0.88 0.873 0.88 0.897 0.979 1.037 1.076 0.937 0.837 0.905 0.91 0.889 0.919 0.86 0.904 0.906 0.881 0.96 0.922 0.934 0.916 0.909 0.949 0.867 0.862 0.872 0.887 0.978 0.952 0.927 0.984 1.006 0.941 0.915 0.926 0.935 0.941
6 0.963 0.896 0.864 0.88 0.875 0.878 0.898 0.984 1.045 1.086 0.937 0.834 0.909 0.917 0.893 0.917 0.857 0.904 0.907 0.882 0.96 0.922 0.934 0.916 0.91 0.949 0.865 0.863 0.874 0.889 0.978 0.95 0.927 0.989 1.012 0.939 0.914 0.926 0.938 0.946
7 0.964 0.895 0.864 0.881 0.877 0.877 0.9 0.987 1.051 1.093 0.936 0.833 0.912 0.923 0.897 0.916 0.855 0.905 0.908 0.883 0.96 0.922 0.934 0.917 0.911 0.949 0.864 0.864 0.875 0.891 0.978 0.949 0.927 0.993 1.017 0.937 0.913 0.926 0.941 0.95
8 0.964 0.894 0.863 0.882 0.878 0.877 0.901 0.99 1.056 1.099 0.936 0.832 0.914 0.928 0.9 0.915 0.854 0.905 0.909 0.885 0.961 0.922 0.934 0.917 0.912 0.949 0.864 0.865 0.877 0.892 0.978 0.949 0.927 0.996 1.022 0.936 0.912 0.927 0.944 0.953
9 0.964 0.893 0.863 0.883 0.88 0.876 0.902 0.992 1.06 1.104 0.936 0.831 0.917 0.932 0.903 0.914 0.853 0.905 0.91 0.886 0.961 0.922 0.934 0.918 0.913 0.949 0.863 0.866 0.878 0.894 0.978 0.948 0.927 0.998 1.025 0.935 0.911 0.927 0.946 0.956
10 0.964 0.893 0.863 0.883 0.882 0.876 0.903 0.994 1.064 1.108 0.935 0.831 0.919 0.936 0.906 0.914 0.852 0.906 0.91 0.887 0.961 0.923 0.934 0.918 0.914 0.95 0.863 0.867 0.879 0.895 0.978 0.948 0.927 1.001 1.028 0.934 0.911 0.927 0.947 0.958
Return to Figure H-1
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Last update: February 7, 2013